The Mortgage Modelers will collaborate with the banking business on risk analysis, risk reporting, and value added jumbo mortgage origination strategies. They are responsible for the creation of product valuation models, as well as risk and valuation tools to be used by various internal groups to better understand risk and to better identify market opportunities. Programming skill requirements, depending on job nature, include SAS, C++, Java, Perl, R, Q, etc. Strong communication and collaboration skills are required.
• Determine and create the valuation and risk management models that will feed the Firm’s books and records for the bank’s originated mortgages;
• Monitor and analyze the effectiveness of current valuation and risk models, and make enhancements as needed;
• Collaborate with portfolio managers to analyze and advise on managing the risk of the positions currently on the bank’s balance sheet as well as future growth;
• Ensure compliance with regulatory norms.
• Masters degree in Computational Finance or Mathematical Finance. Ph.D. degree in Finance, Economics, Mathematics, Engineering or other computational sciences is strongly preferred.
• Strong hands-on technology skills are a core requirement (e.g. C++, Java, Q and Perl programming, and statistical packages such as SAS, R, and Matlab).
• Strong communication & collaboration skills are required.
• Experience in building end-to-end loan-level non-agency or pool-level agency prepayment and default models is extremely desirable.